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An Unbiased Appraisal of Purchasing Power Parity
McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...
Persistent link: https://www.econbiz.de/10005825679
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Liberalized Markets Have More Stable Exchange Rates; Short-Run Evidence From Four Transition Countries
Bulir, Ales - International Monetary Fund (IMF) - 2004
The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This "endogenous liquidity" hypothesis suggests that opening financial...
Persistent link: https://www.econbiz.de/10005599329
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Parity Reversion in Real Exchange Rates; Fast, Slow or Not At All?
McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2004
Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...
Persistent link: https://www.econbiz.de/10005604970
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Eastern Caribbean Currency Union; Selected Issues
International Monetary Fund (IMF); International … - 2008
distinctive impact that tourism plays in the determination of the real exchange rate in tourism-driven economies. …
Persistent link: https://www.econbiz.de/10011243552
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A Cointegration Approach to Estimate Private Investment Demand Function of Pakistan
Ali, Sharafat - Volkswirtschaftliche Fakultät, … - 2013
cointegration approach. The results suggest debt servicing, inflation and private investment to be negatively associated. The study … coefficient of the error correction term confirms the long run causality between explanatory variables and private investment. The … pair-wise Granger causality concludes unidirectional causality from private investment to GDP growth, from private …
Persistent link: https://www.econbiz.de/10011259941
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HERD BEHAVIOR IN MALAYSIAN CAPITAL MARKET: AN EMPIRICAL ANALYSIS
DUASA, Jarita; KASSIM, Salina H. - In: Journal of Applied Economic Sciences 4 (2009) 1(7)_ Spring 2009
This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...
Persistent link: https://www.econbiz.de/10004999736
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US PRICE INDICES AND THE EXCHANGE RATE: ARE RECREATIONAL PRODUCTS DIFFERENT?
CELLINI, Roberto; PAOLINO, Alessandro - In: Journal of Applied Economic Sciences 4 (2009) 1(7)_ Spring 2009
The paper analyses the cointegration relationships and the causal links between the exchange rate of the US Dollar, on …
Persistent link: https://www.econbiz.de/10004999740
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Price of recreational products and the exchange rate: an empirical investigation on US data
Cellini, Roberto; Paolino, Alessandro - Volkswirtschaftliche Fakultät, … - 2007
The paper analyses the cointegration relationships and the causal links between the exchange rate of the US Dollar, on …
Persistent link: https://www.econbiz.de/10005619301
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The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7
Chen, Shyh-Wei; Chen, Tzu-Chun - In: Journal of Economics and Management 7 (2011) 1, pp. 101-133
model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results …. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two … financial markets. In the results of the non-linear Granger causality, there are unidirectional and bidirectional non …
Persistent link: https://www.econbiz.de/10008788747
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Remittances–exchange rate nexus: the U.S.–Mexico case
Rahman, Matiur; Foshee, Andrew; Mustafa, Muhammad - In: Journal of Developing Areas 47 (2013) 1, pp. 63-74
implementation of standard cointegration methodology. Empirically, both variables are found nonstationary in levels with I(1 …
Persistent link: https://www.econbiz.de/10011096532